Tracking-error models for multiple benchmarks: Theory and empirical performance
We propose a new multiple-benchmark tracking-error model for portfolio selection problem. The tracking error of a portfolio from a set of benchmark portfolios is defined as the difference between its return and the highest return from the set of benchmarks. We derive closedform solution of our portf...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3774 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4773/viewcontent/Tracking_Error_Models_for_Multiple_Benchmarks_Body.pdf |
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| Institution: | Singapore Management University |
| Language: | English |